Added ohlcv-fetchers

python-scripts/ohlcv-fetchers/.gitignore

@@ -0,0 +1,3 @@
+/venv/
+
+/*.csv

python-scripts/ohlcv-fetchers/README.md

@@ -0,0 +1,18 @@
+# ohlcv-fetchers
+
+Set of scripts that can be used to **download [OHLCV data](https://en.wikipedia.org/wiki/Open-high-low-close_chart)** from various sources (e.g. [_Binance_](https://binance.com/), [_Yahoo Finance_](https://finance.yahoo.com/)).
+
+## Usage
+
+Set up a **Python venv** (virtual environment) and install some packages inside it:
+
+```bash
+python3 -mvenv venv
+venv/bin/python3 -mpip install -r requirements.txt
+```
+
+Then you can use the scripts:
+
+```bash
+venv/bin/python3 myscript.py --help
+```

python-scripts/ohlcv-fetchers/binance.py

@@ -0,0 +1,79 @@
+#!/usr/bin/env python3
+
+import argparse
+import sys
+
+from datetime import timedelta
+from datetime import datetime as dt
+from datetime import timezone as tz
+from dateutil import parser as dup
+
+import ccxt
+
+
+def main(argv=None):
+    if argv is None:
+        argv = sys.argv
+
+    parser = argparse.ArgumentParser(
+        description='Binance OHLCV data downloader')
+
+    parser.add_argument('symbol', metavar='SYMBOL', type=str,
+                        help='Ticker symbol (example: BTC/USDT)')
+
+    parser.add_argument('-i', '--interval', type=str, default='5m',
+                        help='Length of time each candle represents'
+                        '(default: 5m)')
+
+    parser.add_argument('-d', '--dt-start', type=lambda x: dup.parse(x),
+                        default=dt.now(tz.utc) - timedelta(hours=1),
+                        help='Start date and time (default: 1 hour ago)')
+    parser.add_argument('-D', '--dt-end', type=lambda x: dup.parse(x),
+                        default=dt.now(tz.utc),
+                        help='End date and time (default: now)')
+
+    parser.add_argument('-f', '--format', type=str, default='',
+                        help='If specified, formats the float values (such as'
+                        'the asset prices) with this format string'
+                        '(e.g. "{:.6f}")')
+
+    args = parser.parse_args(argv[1:])
+
+    args.dt_start = args.dt_start.astimezone(tz.utc)
+    args.dt_end = args.dt_end.astimezone(tz.utc)
+
+    ############################################################################
+
+    print(f'Fetching {args.symbol} with CCXT', file=sys.stderr)
+
+    exchange = ccxt.binance()
+
+    # Equivalent of
+    # https://api.binance.com/api/v3/klines?symbol=...&interval=...&startTime=...&endTime=...
+    # See
+    # https://developers.binance.com/docs/binance-spot-api-docs/rest-api#klinecandlestick-data
+    data = exchange.fetch_ohlcv(
+        args.symbol,
+        args.interval,
+        int(args.dt_start.timestamp() * 1000),
+        params={
+            'until': int(args.dt_end.timestamp() * 1000),
+            'paginate': True,
+        }
+    )
+
+    if args.format != '':
+        for candle in data:
+            for i, v in enumerate(candle):
+                if isinstance(v, float):
+                    candle[i] = args.format.format(v)
+
+    print('Timestamp,Open,High,Low,Close,Volume')
+    for candle in data:
+        print(','.join(str(x) for x in candle))
+
+    return 0
+
+
+if __name__ == '__main__':
+    sys.exit(main())

python-scripts/ohlcv-fetchers/requirements.txt

@@ -0,0 +1,3 @@
+ccxt==4.4.*
+python-dateutil==2.9.*
+yfinance==0.2.*

python-scripts/ohlcv-fetchers/yahoo-finance.py

@@ -0,0 +1,75 @@
+#!/usr/bin/env python3
+
+import argparse
+import sys
+
+from datetime import timedelta
+from datetime import datetime as dt
+from dateutil import parser as dup
+
+import yfinance as yf
+import pandas as pd
+
+
+def is_aware(d: dt):
+    '''
+    Returns true if the datetime object `d` is timezone-aware, false otherwise.
+    See https://docs.python.org/3/library/datetime.html#determining-if-an-object-is-aware-or-naive
+    '''
+    return d.tzinfo is not None and d.tzinfo.utcoffset(d) is not None
+
+
+def main(argv=None):
+    if argv is None:
+        argv = sys.argv
+
+    parser = argparse.ArgumentParser(
+        description='Yahoo Finance OHLCV data downloader')
+
+    parser.add_argument('symbol', metavar='SYMBOL', type=str,
+                        help='Ticker symbol (example: ^GSPC)')
+
+    parser.add_argument('-i', '--interval', type=str, default='1d',
+                        help='Length of time each candle represents'
+                        '(default: 1d)')
+
+    parser.add_argument('-d', '--dt-start', type=lambda x: dup.parse(x),
+                        default=dt.now().astimezone() - timedelta(days=30),
+                        help='Start date and time (default: 30 days ago)')
+    parser.add_argument('-D', '--dt-end', type=lambda x: dup.parse(x),
+                        default=dt.now().astimezone(),
+                        help='End date and time (default: now)')
+
+    parser.add_argument('-f', '--format', type=str, default='',
+                        help='If specified, formats the float values (such as'
+                        'the asset prices) with this format string'
+                        '(e.g. "{:.6f}")')
+
+    args = parser.parse_args(argv[1:])
+
+    if not is_aware(args.dt_start):
+        args.dt_start = args.dt_start.astimezone()
+    if not is_aware(args.dt_end):
+        args.dt_end = args.dt_end.astimezone()
+
+    ############################################################################
+
+    print(f'Fetching {args.symbol} with yfinance', file=sys.stderr)
+
+    # Equivalent of
+    # https://query1.finance.yahoo.com/v8/finance/chart/...?interval=...&period1=...&period2=...
+    # See https://finance.yahoo.com/quote/.../history
+    data: pd.DataFrame = yf.download(
+        args.symbol, args.dt_start, args.dt_end, interval=args.interval)
+
+    if args.format != '':
+        data = data.apply(lambda col: col.map(
+            lambda x: args.format.format(x) if isinstance(x, float) else x))
+
+    data.to_csv(sys.stdout, lineterminator='\n')
+
+    return 0
+
+
+if __name__ == '__main__':
+    sys.exit(main())